The answer is both simple, in that it can be easily stated, and complicated, in that the simple statement requires some explanation and some intuitive understanding of advanced physics.

Mercury is a liquid at room temperature because the "relativistic contraction" of its atomic orbitals makes it behave chemically almost like a noble gas, not wanting to share electrons with other atoms, even other mercury atoms! Note that mercury is monatomic in the gas phase, just like a noble gas. Of course this should not be pushed too far; mercury is not a noble gas. There are enough outer-electron interactions for mercury to remain a liquid (radon, 22 amu heavier, is a gas), to conduct electricity, and to participate in ordinary chemical reactions.

Before I launch into more detail, I should give some leading references:

The source on which I'm partly basing my answer is "Relativistic Effects in Structural Chemistry", by P. Pyykkö, Chemical Reviews1988, 88, 563-594. This article gives the following references for the "why is mercury a liquid" question:

"Relativistic effects" are a misnomer, arising from the fact that we don't normally worry about an upper limit to velocity. In fact, nothing (including an electron in an atom) can have a velocity greater than that of light; and inner electrons in atoms, especially the heavier atoms such as those of mercury or gold, move at a substantial fraction of the speed of light.

Because of this high velocity, the rest mass of an inner electron increases, and the distance from the nucleus, which is inversely proportional to the rest mass, correspondingly decreases. This has the effect of decreasing the radius of inner atomic orbitals, and is called a "relativistic contraction." Relativistic contraction is particularly marked for s atomic orbitals since their functions show a strong radial dependence.

Since the outer atomic orbitals more or less sit "on top of" the inner ones of the same type, the relativistic contraction of the 1s and 2s orbitals in mercury leads to a corresponding contraction in the valence 6s orbital. This brings the 6s electrons much closer to the nucleus and makes them behave more like a filled shell than one might expect from the behavior of zinc or cadmium. (This is also the reason that thallium has +1 as its most common valence state, and lead +2, whereas boron and carbon are typically +3 and +4 respectively.)

Note that, in Group 12 (Zn, Cd, Hg) the outermost d subshell is completely filled. Thus, because of the contraction of the 6s orbital, mercury is far less chemically reactive than either zinc or cadmium; again, the valence electrons are less strongly shared even in metallic bonding between mercury atoms. Hence, mercury is a liquid (and a monatomic gas).

Gold (because it is missing one electron compared to mercury) and thallium (because it has one more electron than mercury) do not show similarly low melting points. Note, however, that

thallium has +1 as its most stable valence state, rather than +3 like boron or aluminum; and

gold is yellow because of the low energy involved in promotion of a 5d electron to the 6s shell.